Research On The Relationship Of Interest Rate Marketization And The Commercial Bank’s Credit Risk

With the development of financial globalization and financial market volatility, the credit risk has become more prominent and serious. Although the field of financial innovation has made some progress. For most banks, the credit risk is still the main cause of bank failures. Since the1980s, the Western banks began to pay more attention to the issue of credit risk. They not only focus on the credit risk’s causes and quantify, but also consider credit risk’s management into the assessment criteria of Banks’operational performance. In China, due to the traditional business model and management system, the credit risk has become one of the most important and complex risks that commercial banks are facing. So the research into commercial banks’ credit risk is extremely important. In recent years, the central bank’frequent interest rate adjustments indicate the step-by-step approximation of the interest rate marketization. The interest rate marketization will make the commercial banks face more complex economic situation and more intense competition. We can not help but start thinking about what kind of impact the interest rate marketization will produce on the credit risk of commercial banks in China.Starting from the theory of asymmetric information, we analyze the risks of moral hazard and adverse selection facing commercial banks. And then combined with our special dual economic structure, we analyze the non-sensitive interest rate of state-owned enterprises and upward interest rate trend under interest rate marketization. On this basis, we finally discuss our commercial banks’adverse selection problem and deduce that commercial banks’credit risk will increase in the future. On the basis of the above analysis, we use the macro stress test to analyze the relationship between the credit risk of China’s commercial banks and macroeconomic variables. The empirical results show that the credit risk of China’s commercial banks is associated with three macro factors. They are inter-bank interest rate, GDP growth rate and money supply growth rate. We simulate the situation of rising interest rates by setting stress scenarios of a sudden jump in the inter-bank interest rate. We find that the credit risk of commercial banks shows a growing tendency. In this way, through the empirical analysis we confirm the inference that the credit risk of China’s commercial banks will increase under the interest marketization. Finally, we have put some suggestions of credit risk management about China’s commercial banks.